Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 79-94
forecasts with different predictive copulas, focusing on specific parts of the copula support. The tests are framed in the … yields on government bonds of the G7 countries we obtain insights into why the Student-t and Clayton mixture copula … outperforms the other copulas considered; mixing in the Clayton copula with the t-copula is of particular importance to obtain …